ENCORE OTC Developer Reference Guide Proprietary Transmissions

© 2018 The Options Clearing Corporation. All rights reserved.

ENCORE – OTC Developer Reference Guide Proprietary Transmissions

Version 1.4 August 2018

OCC — Last Updated August 2018

ENCORE OTC DDS Prop Guide — Version 1.4 — Page 2

Contents

DOCUMENT ORGANIZATION .................................................................................................. 4

GLOSSARY OF TERMS ............................................................................................................... 5

INBOUND FIXML TRANSMISSIONS ........................................................................................ 7

IMPLEMENTATION CONSIDERATIONS .......................................................................................... 7 General ............................................................................................................................... 7 Things to Remember ........................................................................................................... 7 CFI Code ............................................................................................................................. 7

ENCORE TRANSMISSION: OTC EXERCISE NOTICES .................................................................. 8 Overview ............................................................................................................................. 8 Message Structure .............................................................................................................. 8 Message Layout – OTC Exercise Notices............................................................................ 9 Position Maintenance Request – OTC Exercise Notices ...................................................... 9 Sample Message – OTC Exercise Notices .........................................................................11 Implementation Considerations ..........................................................................................11

OUTBOUND DDS PROPRIETARY TRANSMISSIONS ............................................................12

IMPLEMENTATION CONSIDERATIONS .........................................................................................12 CFI Code Default Values ....................................................................................................13 Sample CFI Code ...............................................................................................................13

ENCORE TRANSMISSION: OTC DEAL ......................................................................................14 Overview ............................................................................................................................14 Message Structure .............................................................................................................14 Message Layout – OTC Deal Report – Options ..................................................................15 Sample Message – OTC Deal ............................................................................................19 Sample End of Day Messages – OTC Deals ......................................................................19

ENCORE TRANSMISSION: OTC POSITION ................................................................................20 Overview ............................................................................................................................20 Message Structure .............................................................................................................20 Message Layout – OTC Position Report – OTC Positions – Options ..................................21 Sample Message – OTC Position Report ...........................................................................24

ENCORE TRANSMISSION: OTC EXERCISES .............................................................................25 Overview ............................................................................................................................25 Message Structure .............................................................................................................25 Message Layout – Position Maintenance Report – Cleared OTC Exercise .........................26 Sample Message – Cleared OTC Exercise .........................................................................29

ENCORE TRANSMISSION: OTC EXERCISE ACKNOWLEDGEMENTS ............................................30 Overview ............................................................................................................................30 Message Structure .............................................................................................................30 Message Layout – Position Maintenance Report OTC Exercise Acknowledgements .........31 Sample Messages – OTC Exercise Acknowledgements .....................................................34 Sample Messages – OTC Exercise Acknowledgement End of Day Message .....................34 Implementation Considerations ..........................................................................................35

ENCORE TRANSMISSION: CLEARED OTC ASSIGNMENT MESSAGE ............................................36 Overview ............................................................................................................................36 Message Structure .............................................................................................................36 Message Layout – Assignment Report – Cleared OTC Assignment Message ....................37



Sample Message – Cleared OTC Assignment ....................................................................40 ENCORE TRANSMISSION: CLEARED OTC SETTLEMENT ACTIVITY MESSAGE ..............................41

Overview ............................................................................................................................41 Message Structure .............................................................................................................41 Message Layout – Position Report – Cleared OTC Settlement Activity ..............................42 Sample Message – Cleared OTC Equity Index Settlement Activity .....................................46

APPENDIX ...............................................................................................................................47

REVISION HISTORY ..................................................................................................................47



Document Organization

This document is one of a set of two intended to provide a detailed description of all aspects of OCC’s Over the Counter (OTC) inbound FIXML and outbound DDS transmissions:

Part One: Data Distribution Services Overview This document is intended for a reader that needs to understand the Data Distribution Services (DDS) system. This part of the guide contains the design concepts and the data delivery services being developed and implemented.

Part Two: OTC Developer Reference Guide - Inbound/Outbound Proprietary Transmissions This document is intended for a reader that needs to understand the OCC supported FIXML transmissions associated to OTC products which consist of the Inbound FIXML Transmissions and the Outbound DDS Proprietary Transmissions.

Inbound FIXML Transmissions This section of Part Two provides a detailed description of Inbound FIXML message layouts for OTC products. It is intended for use as a transmission mapping reference for FIXML developers. This guide includes the FIXML elements, transmission layouts, message structures, and sample messages for each transmission type.

The Inbound FIXML OTC transmission is defined in the following section:

• OTC Exercise Notices

Outbound Data Distribution Services (DDS) Proprietary Transmissions

This section of Part Two is intended for use as an OTC Proprietary Transmission mapping reference for FIXML developers. This part of the guide includes FIXML elements, transmission layouts, message structures, and sample messages for each transmission.

The OTC Proprietary ENCORE DDS transmissions are defined in the following sections:

• OTC Deal • OTC Position • OTC Exercise Acknowledgements • Cleared OTC Assignments • Cleared OTC Settlement Activity



Glossary of Terms You should be familiar with the following terms prior to reading this guide:

Batch – In a computer, a batch job is a program that is assigned to the computer to run without further user interaction. In larger commercial computers or servers, batch jobs are usually initiated by a system user. Some are defined to run automatically at a certain time.

DDS (Data Distribution Services) – The ENCORE module that supports both batch and real-time data delivery and utilizes the FIXML data formatting standard.

ENCORE – The clearing system utilized within OCC.

Event Driven Processing – A business event is a meaningful change in the state of the enterprise, such as the opening of a new customer account, clearing a trade, or the matching of a transfer. Event driven processing is system behavior that is initiated by these business events rather than system events, such as time based scheduling. Event driven systems possess the following attributes: 1) Individual treatment of transactions; 2) Push delivery systems; and 3) Electronic notification.

FIXML (Financial Information eXchange Markup Language) – The XML derived grammar of the FIX protocol. A FIXML implementation has message format validation, cleaner, more expressive structure, and leverage off existing standards. The initial goal is to provide the ability to embed FIXML messages within traditional FIX header and trailers to minimize the impact on existing implementations.

Messaging – There are two major messaging server models: the point-to-point model and the publish/subscribe model. Messaging allows programs to share common message-handling code, to isolate resources and interdependencies, and to easily handle an increase in message volume. Messaging also makes it easier for programs to communicate across different programming environments (languages, compilers, and operating systems) since the only thing that each environment needs to understand is the common messaging format and protocol.

Package – A Package is a collection of DDS transmissions that are grouped together based on selections made when the subscription was created.

Pull Delivery Model – In this information delivery model, the observer (or client) requests information from the information owner. An example of this model is the download of a document from a web page.

Push Delivery Model – In this information delivery model, the information owner distributes the data to the observer as it deems appropriate. An example of this model is the sending and delivery of an email message.

Real-Time – A level of computer responsiveness that a user senses as sufficiently immediate or that enables the computer to keep up with some external process (for example, to present trade data as trades are executed and cleared). Real-time is an adjective pertaining to computers or processes that operate in real time. Real-time describes a human rather than a machine sense of time.

Recipient – The entity (Clearing Member Organization, Exchange, Regulatory Agency or Service Bureau) that owns the systems where DDS delivers data for processing or retransmission.



STP (Straight-Through-Processing) – The seamless integration of systems and processes to automate the trade process from end-to-end (trade execution, confirmation and settlement) without the need for manual intervention or the re-keying of data.

Subscriber – The entity (a Clearing Member Organization, Exchange, or Regulatory Agency) that requests a package of transmissions and owns the data that is transmitted to recipients.

XML (eXtensible Markup Language) – A simple and flexible text format derived from SGML (ISO 8879). Originally designed to meet the challenges of large-scale electronic publishing, XML is also playing an increasingly important role in the exchange of a wide variety of data on the web and elsewhere. Special purpose XML languages and standards are commonly developed with several hundred already adopted since XML 1.0 was released in February 1998.

http://www.iso.ch/cate/d16387.html



Inbound FIXML Transmissions

This section provides the FIXML file elements, transmissions layouts, message structures, and samples. The modifications support the submission of Post Trade transactions in FIXML format.

Implementation Considerations

Some considerations for the Inbound FIXML Transmission implementation consist of the following:

General • All Strike Prices must be in decimal format for Inbound FIXML messages. • The formatting of the sample messages contained in this document is for display

purposes only. Actual FIXML messages will be contained on a single line and should not be broken into multiple lines or blocks. Messages formatted on more than one line will not be accepted.

Things to Remember • Data tags are case sensitive and capital letters must be used where required. For

example, for Position Maintenance Request the user must enter it as PosMntReq, not as posmntreq.

• Leading zeros are not required and numeric fields will be read the same way, regardless of whether or not the zeros are entered. For example, StrkPx="00030" and StrkPx="30" will be read as the same value.

• If a tag on a FIXML message exceeds the maximum length, the message is invalid. The only exception is for the Txt tag, in which case only the first 25 characters are written to the database. The Max Length column on all the message layouts presented below represent the allowed maximum length for each field.

• Business Date ("BizDt" - Tag 715) is a required field.

CFI Code The Classification of Financial Instruments code (CFI Code) displays in every transmission that contains the Instrument Block (product/series/contract information). The standard for this code defines a six (6) character code in which each character’s position value carries a special significance (attribute) and set of values.

In an Inbound FIXML message, the first character indicates the type of financial instrument, such as "O" for Option or "F" for Future. The second character is the Call/Put indicator and is entered as "C" for Call, "P" for Put. The remaining characters are not required to be entered and users must always type "X" to represent an unspecified or unknown attribute.

For example, CFI="OCXXXX" indicates that this is an Option Call, while CFI="FXXXXX" refers to Futures.



ENCORE Transmission: OTC Exercise Notices FIX Message: CM to OCC Position Maintenance Request

Overview OTC Exercise Notices are instructions submitted by the Clearing Members to OCC to exercise non-expiring OTC option positions. OTC Exercises can only be submitted against American style OTC options.

Message Structure



Message Layout – OTC Exercise Notices

Position Maintenance Request – OTC Exercise Notices FIXML Message Definitions Tag # Report Comp Sub

Comp Sub Sub Comp

Field Name

Data Data Type

Sample Data

Max Length

PosMntReq 709 TxnTyp 1 = Exercise Integer 1 1 715 BizDt Business Date LocalMkt Date 2005-11-28 10 712 Actn 1 = New Integer 1 1

Pty 448 ID Clearing Member Number String 00123 5

452 R Party Role 4 = Clearing Firm Integer 4 3

Sub 523 ID Account Type (C/F/M) String M 1 803 Typ 26 = Position Account Type Integer 26 3

/Sub /Pty Pty

448 ID Sub Account ID String KTZ 4

452 R Party Role 38 = Position Account Integer 38 3

/Pty Pty

448 ID Client ID String DF6312 20

452 R Party Role 24= Client ID Integer 24 3

/Pty Instrmt

55 Sym Symbol - Reuters Instrument Code1 String .SPX 6



FIXML Message Definitions Tag # Report Comp Sub

Comp Sub Sub Comp

Field Name

Data Data Type

Sample Data

Max Length

461 CFI

CHAR 1: O for Option CHAR 2: C for Call, P for Put String OCXXXX 6

167 SecTyp OPT for options trade String OPT 3 762 SubTyp OTC for OTC trade String OTC 3

201 PutCall

Put or Call 0=Put 1=Call Integer 1 1

1194 ExerStyle Exercise Style 1= American Integer 1 1

200 MMY Series/Contract Year, Month, Date MonthYear 20051214

8 (4 for year, 2 for month, 2 for day)

202 StrkPx Strike Price (Decimal Format only) Price 30.50

14 (5 for the strike whole, 9 for the strike decimal)

231 Mult Multiplier Float 100 4

966 SettleOnOpenFlag

Settle On Open Flag (Y/N) String Y 1

/Instrmt Qty

703 Typ EX = Option Exercise Qty String EX 6 704 Long Exercise Quantity Integer 10 7

/Qty /PosMntReq

1Reuters Instrument Code (RIC) symbols are ©, database right and TM of the Thomson Reuters Group; and RIC symbols redistributed by OCC for identification purposes, under contractual license from the Thomson Reuters Group, can only be used by the recipient as an identifier as part of the recipient’s trade workflow activities with OCC. Any other use, distribution or redistribution of such RIC symbols by any recipient requires a written contractual RIC License granted directly by Thomson Reuters to the recipient (e.g. for systematic use, the Transaction Processing License or the Securities Processing License; or for non-systematic use, the RIC License granted by Thomson Reuters to customers in its contract as part of a RIC-enabled individual service)



Sample Message – OTC Exercise Notices <FIXML r="20030618" s="20040109" v="4.4" xr="FIA" xv="1" xmlns="http://www.fixprotocol.org/FIXML-4-4"> <Batch BizDt="2012-10-24" TotMsg="1"> <PosMntRpt TxnTyp="1" Actn="1" BizDt="2012-10-24"> <Pty ID="OCC" R="21"/> <Pty ID="00017" R="4"> </Pty> <Pty ID="DL000017" R="24"/> <Instrmt Sym=".SPX" CFI="OCXXXX" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" MMY="20131030" StrkPx="1380.00" Mult="1" SettlOnOpenFlag="N"/> <Qty Typ="EX" Long="100"/> </PosMntRpt> <Batch> </FIXML>

NOTE: The formatting of the sample messages contained in this document is for display purposes only. Actual FIXML messages will be contained on a single line and should not be broken into multiple lines or blocks. Messages formatted on more than one line will not be accepted.

Implementation Considerations Exercise Notice Quantity The Exercise Quantity information (Qty group) consists of two separate values: Typ (Position Type) and Long tags. The Typ indicates the type of transaction, in this case, an Exercise Notice is entered as "EX". The Long value indicates the quantity of the long position being exercised. Together these values display as:

Qty Typ="EX" Long="20"

OCC — Last Updated August 2018 ENCORE OTC DDS Prop Guide — Version 1.4 — Page 12

Outbound DDS Proprietary Transmissions

Implementation Considerations OCC takes reasonable measures to ensure the accuracy of the information it distributes in its DDS program. This information is produced from data received from a number of different sources, which are believed to be reliable. However, due to the number of sources for such data, the possibility of human error, and the risks inherent in electronic distribution, may cause omissions or inaccuracies in such information and delays or interruptions in providing the information. Accordingly, OCC disclaims all express or implied warranties with respect to the information distributed in its DDS program, including any warranty of merchantability or fitness for a particular purpose. Further, information sent on a real time basis should not be considered final until OCC issues an end of day message advising no additional transmissions will be made on a particular business day.

To read DDS FIXML messages, OCC recommends using an XML parser that adheres to the W3C1 1.0 and 1.1 XML recommendations and not the byte by byte method typically used for “flat file” parsing. To support new future business needs, OCC reserves the right to add at any time previously unused tags, which are already part of the FIXML schema, to the DDS FIXML messages. If the parsing mechanism recommended above will be used, the addition of new tags will have no impact on the programs that read in the DDS FIXML messages.

For the following cases: - addition of new tags which are not part of the FIXML schema - addition of new enumerations which are not part of the FIXML schema - addition of previously unused enumerations which are part of the FIXML schema - decommission/removal of existing required tags

OCC notifies designated contacts in advance of their implementation. When needed, updated schemas will be made available, in advance, on OCC's website. 1The World Wide Web Consortium (W3C) is an international consortium where Member organizations, a full-time staff, and the public work together to develop Web standards.


CFI Code Default Values

In an effort to reduce the size of this document, the standard mapping and data values for the CFI Code tag are presented below and not repeated throughout the document. Only in situations where the CFI Code values will differ from the default values below will the CFI Code be detailed in the document.

OCC has tried to provide as much product information as possible through the CFI Code. However, since this field is part of an ISO standard, OCC had to limit the amount of information provided to the confines of the standard.

OPTIONS CHAR1 = O CHAR2 = Put/Call Code CHAR3 = Exercise Style Code (A = AMERICAN, E = EUROPEAN) CHAR4 = Classification (S = EQUITY, I = INDEX, O = OPTION, F= FUTURE,

D = DEBT) CHAR5 = Settlement Method (P = PHYSICAL, C = CASH) CHAR6 = Sub-Classification Standard / Non-Standard Settlement Designation

(S = STD SETTLEMENT or N = NON-STD SETTLEMENT)

WARRANTS CHAR1 = R CHAR2 = W CHAR3 = X CHAR4 = X CHAR5 = Put/Call Code CHAR6 = X

FUTURES CHAR1 = F CHAR2 = F CHAR3 = Classification (S = EQUITY, D = DEBT, I = INDEX) CHAR4 = Settlement Method (P = PHYSICAL, C = CASH) CHAR5 = Standard / Non-Standard Settlement Designation

(S = STD SETTLEMENT or N = NON-STD SETTLEMENT)

CHAR6 = X

NOTE: As evidenced above, when a particular CFI Code attribute does not apply to the use or context within a message then an X will be used.

Sample CFI Code

Derivative Type Classification CFI Code

Option Index OCEICS


ENCORE Transmission: OTC Deal FIX Message: Trade Capture Report Subscription Options: OTC Options Delivery Options: Batch File Real Time

Overview All new deal transactions that were elected for clearing for the current business day will be available on the Trade Capture Report in real time or in a cumulative file at the end of the day.

Message Structure


Message Layout – OTC Deal Report – Options

OTC Deal Report – Options FIX Mapping Data Data Type Sample

Data Tag # Report Block

Component Block

Sub Component

Block

Sub Sub Component

Block

Fields

TrdCaptRpt

571 RptID Unique Identifier for the Trade String 450391670 570 PrevlyRpted Y/N Boolean N 32 LastQty Quantity Qty 1 31 LastPx Premium Price 5.6

75 TrdDt As Of Date LocalMkt Date 2004-07-20

487 TransTyp

Trade Report Transaction Type 0 = New 4 = Cancel (Backout) Int 0

856

RptTyp (only applies to the first report side listed)

Trade Report Type 2 = Accept Int 2

828 TrdTyp

Trade Type 0 = Regular Trade Int 0

880 MtchID Trade Source CSN String 0009307

715 BizDt MarkitServe Trade Date LocalMkt Date 2004-07-20

573 MtchStat

Match Status 0 = Matched Char 0

Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX 461 CFI Default Values String OCAICS





Component Block

Sub Component

Block

Sub Sub Component

Block

Fields

200 MMY Series/Contract Year, Month, Date MonthYear


167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201 PutCall

Put or Call 0=Put 1=Call Integer 1

1194 ExerStyle

Exercise Style 0=European 1= American Integer 1

541 MatDt Expiration Date LocalMkt Date 2004-08-21

202 StrkPx Strike Price (decimal format) Price 37.5 47 StrkCcy Strike Currency Currency USD 968 StrkValu Strike Value Float 100 231 Mult Multiplier Float 100

966 SettlOn OpenFlag Settle On Open Flag (Y / N) String N

/Instrmt Amt

707 Typ Amount Type PREM = Premium Amount String PREM

708 Amt Extended Premium Amt 560 /Amt RptSide

54 Side 1 = Buy 2 = Sell Char 1

579 InptDev

Input Device MQ = MQ GUI = GUI String MQ





Component Block

Sub Component

Block

Sub Sub Component

Block

Fields

15 Ccy Premium Currency Currency USD

1056 TrdID Exchange Assigned Trade ID String S1DF1234567890P

Pty 448 ID Clearing Group Name String OCC

452 R Party Role 21 = Clearing Organization Int 21

/Pty Pty 448 ID Clearing Member Number String 00608

452 R Party Role 1 = Executing Clearing Firm Int 1

Sub 523 ID Account Type (C/F/M) String C 803 Typ 26 = Position Account Type Int 26 /Sub /Pty Pty 448 ID Sub Account String ZZZ

452 R Party Role 38 = Position Account Int 38

/Pty Pty 448 ID Give Up Clearing Member Number String 00792

452 R Party Role 14 = Give Up Clearing Firm Int 14

/Pty Pty 448 ID Executing Broker String 811F

452 R Party Role 2 = Executing Broker Int 2





Component Block

Sub Component

Block

Sub Sub Component

Block

Fields

/Pty Pty 448 ID Customer Account Number String DF6312

452 R Party Role 24 = Customer Account Number Int 24

/Pty TrdRegTS

769 TS Date deal was accepted into clearing Timestamp

2004-07-20T11:58:00

770 Typ 1 = Regular Timestamp Value Char 1 /TrdRegTS /RptSide

/TrdCaptRpt

1Reuters Instrument Code (RIC) symbols are ©, database right and TM of the Thomson Reuters Group; and RIC symbols redistributed by OCC for identification purposes, under contractual license from the Thomson Reuters Group, can only be used by the recipient as an identifier as part of the recipient’s trade workflow activities with OCC. Any other use, distribution or redistribution of such RIC symbols by any recipient requires a written contractual RIC License granted directly by Thomson Reuters to the recipient (e.g. for systematic use, the Transaction Processing License or the Securities Processing License; or for non-systematic use, the RIC License granted by Thomson Reuters to customers in its contract as part of a RIC-enabled individual service).



Sample Message – OTC Deal Clearing Member 00999 submitted an OTC Deal on 06/30/2011 for symbol .SPX, strike 45.006. The details of the OTC Deal are listed below. CM#ATP/CSymbolExp DateStrike 00999FC.SPX 04/27/201245.006

The data service message for this OTC Deal is shown below. <TrdCaptRpt RptID="1446" PrevlyRpted="N" LastQty="45" LastPx="4.2011" TrdDt="2011-04-26" TransTyp="0" RptTyp="2" TrdTyp="0" MtchID="1349" BizDt="2011-04-26" MtchStat="0">

<Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1"

ExerStyle="1"MMY="20120427" MatDt="2012-04-27" StrkPx="45.006" StrkCcy="USD" StrkValu="1" Mult="1" SettlOnOpenFlag="Y" />

<Amt Typ="PREM" Amt="189.0495" /> <RptSide Side="1" InptDev="GUI" Ccy="USD" TrdID="ABC2602"> <Pty ID="OCC" R="21" /> <Pty ID="00999" R="1"> </Pty> <TrdRegTS TS="2011-06-30T13:15:41" Typ="1" /> </RptSide> </TrdCaptRpt>

Sample End of Day Messages – OTC Deals <DDSEODMessage BizDt="2005-01-09" MsgTypeCode="TRADE" SchemaVer="FIX 4.4" TransType="TRADES" TransSubType="MATCHED" TransProductSet="OPTO" FinalizationCycle="ENCORE OTC Finalization" NoMessagesSent="15"/>



ENCORE Transmission: OTC Position FIX Message: Position Report Subscription Options: OTC Options Delivery Options: Batch File

Overview

This file includes the Clearing Member’s current position for the current business date. The valuation price will be included on each position record.

Message Structure


Message Layout – OTC Position Report – OTC Positions – Options

Position Report – OTC Positions – Options FIX Mapping Data Data Type Sample Data

Tag# Report Block

Component Block

Sub Component

Block

Fields

PosRpt 721 RptID Unique Identifier of the Position String 326877967 715 BizDt Clearing Business Date LocalMktDate 2005-10-22

724 ReqTyp Request Type 0 = Positions Int 0

15 Ccy Currency Currency USD

730 SetPx

Settlement Price * will not be populated on the expiration date of the position Price 1254.4

731 SetPxTyp 2= Theoretical Int 2 Pty 448 ID Clearing Group Name String OCC



452 R Party Role 4 = Clearing Firm Int 4

Sub 448 ID Account Type String C

452 R Party Role 26 = Position Account Type Int 26

/Sub /Pty Pty 448 ID Sub Account String





Tag# Report Block

Component Block

Sub Component

Block

Fields

/Pty Pty ID Customer Account Number String DF6312

R Party Role 24 = Customer Account Number Int 24

/Pty Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX

461 CFI Default Values (refer to page 8) String OCAICS 167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201 PutCall


1194 ExerStyle




541 MatDt Expiration Date LocalMktDate 2007-01-20 202 StrkPx Strike Price (decimal format) Price 21.625 947 StrkCcy Strike Currency Currency USD 968 StrkValu Strike Value Decimal 1 231 Mult Multiplier Decimal 1

966 SettlOn OpenFlag Settle On Open Flag (Y / N) String N

/Instrmt Qty

703 Typ Quantity Type FIN = End of Day String FIN




Tag# Report Block

Component Block

Sub Component

Block

Fields

704 Long Current Long Qty 10 705 Short Current Short Qty 3327 /Qty /PosRpt




Sample Message – OTC Position Report Clearing Member 00999 has a long OTC Position of 465 contracts for symbol .SPX, strike 89.12. The details of the OTC Position are listed below. CM#ATP/CSymbolExp DateStrike 00999CP.SPX 04/30/201289.12 The data service message for this OTC Position Report is shown below. <PosRpt RptID="1250000801" BizDt="2011-04-26" ReqTyp="0" Ccy="USD" SetPx="2.221" SetPxTyp="2">

<Pty ID="OCC" R="21" /> <Pty ID="00999" R="4" />

 </Pty> <Pty ID="12345" R="24" /> <Pty ID="TST1" R="38" /> <Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" MMY="20120430" MatDt="2012-04-30" StrkPx="89.12" StrkCcy="USD" StrkValu="1" Mult="1" SettlOnOpenFlag="Y" /> <Qty Typ="FIN" Long="465" Short="0" />

</PosRpt>



ENCORE Transmission: OTC Exercises FIX Message: Position Maintenance Report Subscription Options: OTC Options Delivery Options: Batch File

Overview

OTC Exercise Activity will be detailed on the Position Maintenance Report.

Message Structure



Message Layout – Position Maintenance Report – Cleared OTC Exercise

Position Maintenance Report – OTC Exercises FIX Mapping Data Data Type Sample Data

Tag# Report Block

Component Block

Sub Component

Block

Fields

PosMntRpt 721 RptID Unique Identifier for the Exercised Position String 144535569

709 TxnTyp Transaction Type 1 = Exercise Int 1

712 Actn Action 1 = New Int 1

722 Stat Status 0 = Accepted Int 0

715 BizDt Clearing Business Date LocalMkt Date 2004-04-13

718 AdjTyp Adjustment Action 3 = Final Int 3





Sub 523 ID Account Type (C/F/M) String C 803 Typ 26 = Position Account Type Int 26 /Sub /Pty Pty 448 ID Sub Account String





Tag# Report Block

Component Block

Sub Component

Block

Fields

/Pty Pty 448 ID Client ID String DF6312

452 R Party Role 24 = Client ID Int 24

/Pty Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX

461 CFI Default Values String OCAICS

167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201 PutCall


1194 ExerStyle




541 MatDt Expiration Date LocalMktDate 2004-04-17 202 StrkPx Strike Price (decimal format) Price 1285


Settle on open flag Y/N String Y

947 StrkCcy Strike Currency Currency USD 968 StrkValu Strike Value Float 1 231 Mult Multiplier decimal 1 /Instrmt Qty 703 Typ Quantity Type String EX




Tag# Report Block

Component Block

Sub Component

Block

Fields

EX = Exercise Quantity 704 Long Long Quantity Qty 417 /Qty Qty

703 Typ Quantity Type UNEX = Unexercised Exercise Quantity String UNEX

704 Long Long Quantity Qty 50 /Qty Amt

707 Typ Amount Type SETL = Settlement Value String SETL

708 Amt Extended Settlement Value Amt 166800 /Amt /PosMntRpt

1Reuters Instrument Code (RIC) symbols are ©, database right and TM of the Thomson Reuters Group; and RIC symbols redistributed by OCC for identification purposes, under contractual license from the Thomson Reuters Group, can only be used by the recipient as an identifier as part of the recipient’s trade workflow activities with OCC. Any other use, distribution or redistribution of such RIC symbols by any recipient requires a written contractual RIC License granted directly by Thomson Reuters to the recipient (e.g. for systematic use, the Transaction Processing License or the Securities Processing License; or for non-systematic use, the RIC License granted by Thomson Reuters to customers in its contract as part of a RIC-enabled individual service)



Sample Message – Cleared OTC Exercise Clearing Member 00123 submitted an Exercise 1/10/2012 for symbol .SPX, strike 1285. The details of the OTC Exercise are listed below.

<PosMntRpt RptID="1467561316" TxnTyp="1" Actn="1" Stat="0" BizDt="2012-01-10" AdjTyp="3"> <Pty ID="OCC" R="21"/> <Pty ID="00123" R="4"> </Pty> <Pty ID="ABC" R="38"/> <Pty ID="9876543210" R="24"/> <Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" SettleOnOpenFlag="Y" MMY="20120110" MatDt="2012-01-10" StrkPx="1285" StrkCcy="USD" StrkMult="1" StrkValu="1" Mult="1"/> <Qty Typ="EX" Long="943"/> <Amt Typ="SETL" Amt="121175500"/> </PosMntRpt>


ENCORE Transmission: OTC Exercise Acknowledgements FIX Message: Position Maintenance Report Subscription Options: OTC Options Delivery Options: Real Time Batch File

Overview

The OTC Exercise Acknowledgement messages allow submitting Clearing Members to receive an acknowledgement that OCC received and accepted their Inbound FIXML exercise. Exercise Acknowledgement messages will be generated for exercises submitted through Inbound FIXML or from the GUI.

Please note that these messages only indicate that we accepted the exercise. Processing of the exercise occurs during finalization and may be accepted or rejected during this processing.

Message Structure



Message Layout – Position Maintenance Report OTC Exercise Acknowledgements

Position Maintenance Report – Exercise Acknowledgements FIX Mapping Tag# Report

Block Component

Block Sub

Component Block

Fields Data Data Type Sample Data

PosMntRpt

721 RptID Unique Identifier for the Exercise Acknowledgement String 144535569

709 TxnTyp Transaction Type 1 = Exercise Int 1

712 Actn Action 1 = New Int 1

722 Stat Status 0 = Accepted Int 0

715 BizDt Clearing Business Date LocalMkt Date 2009-09-19

979 InptSrc

Input Source GUI = GUI RTFX = Reatime FIXML FIXML = Batch FIXML String RTFX

60 TxnTm Transaction Time UTCTimestamp 2009-09-10T 12:53:24-05:00





Sub 523 ID Account Type (C/F/M) String C 803 Typ 26 = Position Account Type Int 26 /Sub



Block Component

Block Sub

Component Block


/Pty Pty 448 ID Sub Account String




/Pty Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX 461 CFI Default Values (refer to page 9) String OCXXXX 167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201

PutCall


1194 ExerStyle

Exercise Style 1= American Integer 1

200 MMY Series/Contract Year, Month, Date MonthYear 20040417 202 StrkPx Strike Price (decimal format) Price 4 231 Mult Multiplier Float 100

966

SettleOnOpenFlag

Settle On Open Flag (Y/N) String Y

/Instrmt Qty

703 Typ Quantity Type EX = Exercise Quantity String EX

704 Long Long Quantity Qty 417



Block Component

Block Sub

Component Block


706 Stat Quantity Status 0 = Submitted Int 0

/Qty /PosMntRpt



Sample Messages – OTC Exercise Acknowledgements <FIXML r="20030618" s="20040109" v="4.4" xr="FIA" xv="1" xmlns="http://www.fixprotocol.org/FIXML-4-4"> <PosMntRpt RptID="1193T195S1" TxnTyp="1" Actn="1" Stat="0" BizDt="2012-10-24" InptSrc="FXML" TxnTm="2012-11-15T10:40:25-0600"> <Pty ID="OCC" R="21"/> <Pty ID="00017" R="4"> </Pty> <Pty ID="DL000017" R="24"/> <Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" MMY="20131030" StrkPx="1380.00" Mult="1" SettlOnOpenFlag="N"/> <Qty Typ="EX" Long="100" Stat="0"/> </PosMntRpt> </FIXML>

Sample Messages – OTC Exercise Acknowledgement End of Day Message <DDSEODMessage BizDt="2009-09-24" MsgTypeCode="POSMAINT" SchemaVer="FIX 4.4" TransType="EXERCISE" TransSubType="ACK" TransProductSet="OPTO" FinalizationCycle="ENCORE OTC Finalization" NoMessagesSent="15"/>


Implementation Considerations Listed below are some examples of how exercises would be handled in DDS.

Examples:

Sufficient Long Positions

1. If an exercise was entered for 5 contracts and the final long position is 10 contracts, the EX output will be <Qty Typ="EX" Long="5" />.

Insufficient Long Positions

1. If an exercise was entered for 20 contracts and the final long position is 5 contracts, the EX output will be <Qty Typ="EX" Long="5" /> and the UNEX output will be <Qty Typ="UNEX" Long="15" />.

2. If an exercise was entered for 5 contracts and the final long position is 0 contracts, the UNEX output will be <Qty Typ="UNEX" Long="5" />.

In Example 2 above, since there is no exercise quantity, the Amt block which includes the settlement value will not be included in the message.


ENCORE Transmission: Cleared OTC Assignment Message FIX Message: Assignment Report Subscription Options: OTC Options Delivery Options: Batch File

Overview The current day’s assignments are included in the Position Maintenance Report. All assignments for OTC products are on a pro rata basis..

Message Structure


Message Layout – Assignment Report – Cleared OTC Assignment Message

Assignment Report – OTC Assignments FIX Mapping Data Data Type Sample Data

Tag# Report Block

Component Block

Sub Component

Block

Fields

AsgnRpt 833 RptID Unique Identifier for the Assigned Position String 144535614

744 AsgnMeth

Assignment Method R = Random P = Pro Rata Char P

715 BizDt Clearing Business Date LocalMktDate 2004-04-13 Pty 448 ID Clearing Group Name String OCC




Sub 523 ID Account Type (C/F/M) String C

803 Typ Party Role 26 = Position Account Type Int 26

/Sub /Pty Pty 448 ID Sub Account String





Tag# Report Block

Component Block

Sub Component

Block

Fields


/Pty Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX 461 CFI Default Values String OCAICS 167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201 PutCall


1194 ExerStyle




541 MatDt Expiration Date LocalMkt Date 2004-04-17 202 StrkPx Strike Price (decimal format) Price 1285 947 StrkCcy Strike Currency Currency USD

968 StrkValu Strike Value Float 1



231 Mult Multiplier Decimal 1 /Instrmt Qty

703 Typ Qty Type AS = Assignment Quantity String AS

704 Short Assigned Quantity Qty 25 /Qty Amt



Tag# Report Block

Component Block

Sub Component

Block

Fields

707 Typ Amount Type SETL = Settlement Value String SETL

708 Amt Extended Settlement Value Amt 68750 /Amt /AsgnRpt



Sample Message – Cleared OTC Assignment Clearing Member 00987 was Assigned on an Exercise 1/10/2012 for symbol .SPX, strike 1285. The details of the OTC Assignment are listed below.

<AsgnRpt RptID="1467561325" AsgnMeth="P" BizDt="2012-01-10"> <Pty ID="OCC" R="21"/> <Pty ID="00987" R="4"> </Pty> <Pty ID="0123456789" R="24"/> <Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" SettleOnOpenFlag="Y" MMY="20120110" MatDt="2012-01-10" StrkPx="1285" StrkCcy="USD" StrkMult="1" StrkValu="1" Mult="1"/> <Qty Typ="AS" Short="488"/> <Amt Typ="SETL" Amt="62708000"/> </AsgnRpt>


ENCORE Transmission: Cleared OTC Settlement Activity Message FIX Message: Position Report Subscription Options: OTC Options Delivery Options: Batch File

Overview One message will be created for each position with an exercise or assignment on the date the obligation is created. If a single position has both exercise and assignment, two messages will be created for that position.

Message Structure


Message Layout – Position Report – Cleared OTC Settlement Activity

Position Report – Cleared OTC Settlement Activity FIX Mapping Data Data Type Sample Data

Tag# Report Block

Component Block

Sub Component

Block

Fields

PosRpt 721 RptID Unique Identifier for the Settling Position String 1500045172 715 BizDt Clearing Business Date or Original Obligation Date LocalMktDate 2004-01-09

724 ReqTyp Request Type 4 = Settlement Activity Int 4



/Pty Pty 448 ID Clearing Member Number String 00161 452 R 4 = Clearing Firm Int 4 Sub 523 ID Account Type String C

803 Typ Party Role 26 = Position Account Type Int 26

/Sub /Pty Pty 448 ID Sub Account String 452 R 38 = Position Account Int 38 /Pty Pty 448 ID Client ID String DF6312


/Pty



Tag# Report Block

Component Block

Sub Component

Block

Fields

Instrmt 55 Sym Symbol (Reuters Instrument Code1) String .SPX 461 CFI Default Values String OCAICS 167 SecTyp OPT for options trade String OPT 762 SubTyp OTC for OTC trade String OTC

201 PutCall


1194 ExerStyle




541 MatDt Expiration Date LocalMktDate 2010-01-17 202 StrkPx Strike Price (decimal format) Price 1285 947 StrkCcy Strike Currency Currency USD 968 StrkValu Strike Value Decimal 1



231 Mult Multiplier Decimal 1 /Instrmt PosUnd

Note: This component block can repeat for more underlying components.

Undly 311 Sym Underlying Symbol String USD 309 ID Underlying Cusip String 648815108 305 Src 1 = CUSIP String 1



Tag# Report Block

Component Block

Sub Component

Block

Fields

463 CFI

CHAR1-3 = Instrument (EXX = EQUITY, MRI = INDEX, MRC = CURRENCY, DXX = DEBT, FXX = FUTURE) CHAR4 = X CHAR5 = X CHAR6 = X String MRCXXX

972 AllocPct Allocation Pct Percentage 100 879 Qty Underlying Quantity Qty 100 973 CashAmt Underlying Cash Amount Amt 974 CashTyp Underlying Cash Type Char DIFF CUST SetMeth

Settlement Method CADF = Cash Difference Char CADF

/Undly UndDlvAmt 985 PayAmt Underlying Pay Amount Amt 5000 986 ColAmt Underlying Collect Amount Amt 150000 987 StlDt Settlement Date LocalMktDate 2010-01-14

988 SetStat

Settlement Status 0 = Settling 1 = Partially Delayed 2 = Delayed String 0

/UndDlvAmt /PosUnd Qty

703 Typ

Quantity Type DLV = Delivery Quantity RCV = Receive Quantity String DLV

704 Long Long Quantity Qty 0 705 Short Short Quantity Qty 50 CUST QtyDt Date of Activity LocalMktDate 2004-01-09



Tag# Report Block

Component Block

Sub Component

Block

Fields

/Qty /PosRpt



Sample Message – Cleared OTC Equity Index Settlement Activity Clearing Member 00987 was Assigned on an Exercise on 1/10/2012 for symbol .SPX, strike 1285. The details of the OTC Settlement Activity are listed below.

<PosRpt RptID="1467561325" BizDt="2012-01-10" ReqTyp="4"> <Pty ID="OCC" R="21"/> <Pty ID="00987" R="4"> </Pty>

<Instrmt Sym=".SPX" CFI="OCAICS" SecTyp="OPT" SubTyp="OTC" PutCall="1" ExerStyle="1" MMY="20120110" MatDt="2012-01-10" StrkPx="1285" StrkCcy="USD" StrkMult="1" StrkValu="1" Mult="1"/>

<PosUnd> <Undly Sym="USD" ID="648815108" Src="1" CFI="MRCXXX" AllocPct="100" SetMeth="CADF" CashTyp="DIFF"/> <UndDlvAmt PayAmt="345504" ColAmt="0" StlDt="2012-01-11" SetStat="0"/> </PosUnd> <Qty Typ="DLV" Long="0" Short="488" QtyDt="2012-01-10"/> </PosRpt>


Appendix

Revision History

Version Date Author Version Updates

1.3 03/17/2016 OCC Added:

• New OCC logo • Appendix and Revision History table

1.4 8/28/2018 OCC Applied rebranding changes.

Documents

ENCORE OTC Developer Reference Guide Proprietary Transmissions